I received my PhD in Computational Mathematics from the Russian Academy of Sciences in 2000 and my MSc in Mathematics from Novosibirsk State University in 1997. I joined Laurier in 2003. First, I was a postdoctoral fellow at the Department of Mathematics for 3 years. In 2006, I started a tenure-track position (assistant professor). Prior to joining Laurier, I was an assistant professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.

My research has two main foci. The first one is the development of financial models that can be used for asset pricing and credit risk modelling. Such models should provide a good fit to financial data; they should be tractable and allow for using a broad spectrum of analytical and numerical techniques for qualitative analysis. Second, I am interested in the development of stochastic and numerical modelling methods for pricing financial securities such as: construction of efficient stochastic simulation methods for diffusion and jump-diffusion processes, development of spectral expansion methods for pricing path-dependent derivatives, and application of parallel computing to pricing financial securities.

• Prezi: Financial Mathematics at Laurier.
• Prezi: Teaching with Tablets.

Book

Financial Mathematics: A Comprehensive Treatment (order online on www.crcpress.com and save 25% with the promo code ASN99).

• Order Financial Mathematics on Amazon.

Research Profiles

• My Google Scholar profile.
• My ResearchGate profile.

• Award in the name of Academician Mikhail A. Lavrentjev for young researchers (Russia, 2001).
• Natural Sciences and Engineering Research Council discovery grants (2006, 2013).

The research areas I am working in have many problems suitable as for undergraduate students as for master’s students. From 2006 to 2014, I supervised 10 master’s students. Graduate students from my research program have started successful careers in the financial industry or continued their graduate studies in the areas of financial mathematics. I am willing to supervise graduate students in the areas of financial mathematics and Monte Carlo methods.

• Campolieti, G., Makarov, R.N. Financial Mathematics: A Comprehensive Treatment, Chapman & Hall/CRC, 2014.
• Campolieti, G., Makarov, R., and Wouterloot, K. “Pricing step options under the CEV and other solvable diffusion models.” International Journal of Theoretical and Applied Finance, 16(5), 2013.
• Campolieti, G. and Makarov, R.N. “On Properties of Analytically Solvable Families of Local Volatility Diffusion Models.” Mathematical Finance, 22(3):488-518, 2012.
• Campolieti, G. and Makarov, R. “Pricing path-dependent options on state dependent volatility models with a Bessel bridge.” International Journal of Theoretical and Applied Finance, 10(1):51-88, 2007.
• Makarov, R.N. “Numerical solution of quasilinear parabolic equations and backward stochastic differential equations.” Russ. J. Numer. Anal. Math. Modelling, 18(5):397-412, 2003.